Derivatives May 26, 2022: Will optimism continue?

Derivatives May 26, 2022: Will optimism continue?

 

The futures contracts simultaneously increased in the trading session on May 25, 2022. 


The VN30F2206 contract base was wider than the previous session and reached a value of -11.4 points. This shows that investors are more pessimistic than the prospect of VN30-Index.


I. STOCK MARKET INDEX FUTURE CONTRACT

I.1. Market movements


Futures contracts mostly rallied in the trading session on May 25, 2022. VN30F2206 (F2206) increased by 2.55%, reaching 1,299.3 points; VN30F2207 (F2207) increased by 2.72%, reaching 1,300.4 points; contract VN30F2209 (F2209) increased by 4.46%, reaching 1,298.4 points; contract VN30F2212 (F2212) increased by 2.85%, reaching 1,295.9 points. Currently, the base VN30-Index is at 1,310.7 points.




The trading volume and value of the derivatives market decreased by 18.19% and 18.69% respectively compared to the session on May 24, 2022. Specifically, the F2206 trading volume decreased by 18.20% with 318,724 contracts matched. The trading volume of F2207 was 549 contracts, down 31.2%.



Foreign investors were light net sellers with the total net selling volume in the session on May 25, 2022 reaching 61 contracts.


In the transaction on May 25, 2022, the VN30F2206 contract gained right after the ATO session and the green color was maintained throughout the morning session. In the afternoon session, the buying force continued to increase, helping the contract to extend its gain and close at the highest level of the day.


Intraday chart of VN30F2206

At the end of the session, the VN30F2206 contract was wider than the previous session and reached a value of -11.4 points. This shows that investors are more pessimistic than the prospect of VN30-Index.



Volatility VN30F2206 and VN30-Index

Note: Basis is calculated according to the following formula: Basis = Futures contract price - VN30-Index

I.2. Valuation of futures contracts


Based on the fair valuation method with the starting date of May 26, 2022, the fair price range of the futures contracts being traded on the market is shown as follows:


Note: The opportunity cost in the pricing model is adjusted to suit the Vietnamese market. Specifically, the risk-free bill interest rate (Government bill) will be replaced by the average deposit interest rate of large banks with term adjustment suitable for each type of futures contract.


I.3. VN30-Index technical analysis


In the trading session on May 25, 2022, VN30 continued to gain with a candlestick pattern similar to White Closing Marubozu, showing that short-term sentiment is quite optimistic.


The MACD has given a buy signal, in addition, the Stochastic Oscillator has formed a bullish divergence, so the growth potential is improved.


The trading volume shows improvement and is above the 20-day average, showing that the money is slowly returning to the market.

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